Package org.drip.sample.principal

Class OptimalTrajectoryMeasures

java.lang.Object
org.drip.sample.principal.OptimalTrajectoryMeasures
public class OptimalTrajectoryMeasures
extends java.lang.Object
OptimalTrajectoryMeasures demonstrates the Trade Scheduling using the Equity Market Impact Functions determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for IBM. It generates the Transaction Cost/Principal Discount Measures from the Run. The References are:

  • Almgren, R., and N. Chriss (1999): Value under Liquidation Risk 12 (12)
  • Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39
  • Almgren, R. (2003): Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk Applied Mathematical Finance 10 (1) 1-18
  • Almgren, R., and N. Chriss (2003): Bidding Principles Risk 97-102
  • Almgren, R., C. Thum, E. Hauptmann, and H. Li (2005): Equity Market Impact Risk 18 (7) 57-62




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    OptimalTrajectoryMeasures()  

  • Method Summary

    Modifier and Type Method Description
    static void main​(java.lang.String[] astrArgs)
    Entry Point

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • OptimalTrajectoryMeasures

      public OptimalTrajectoryMeasures()

  • Method Details

    • main

      public static final void main​(java.lang.String[] astrArgs) throws java.lang.Exception
      Entry Point
      Parameters:
      astrArgs - Command Line Argument Array
      Throws:
      java.lang.Exception - Thrown on Error/Exception Situation